The law of the supremum of a stable Lévy process with no negative jumps

DOI10.1214/07-AOP376zbMath1185.60051arXiv0706.1503MaRDI QIDQ948745

Goran Peskir, Violetta Bernyk, Robert C. Dalang

Publication date: 20 October 2008

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0706.1503

zbMATH Keywords

Wiener-Hopf factorizationAbel equationfirst hitting timeRiemann-Liouville fractional differential equationweakly singular Volterra integral equationpolar kernelstable Lévy process with no negative jumpsfirst entry timerunning supremum processspectrally positive

Mathematics Subject Classification ID

Related Items (35)

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Cites Work

• Predicting the ultimate supremum of a stable Lévy process with no negative jumps
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Kendall's identity for the first crossing time revisited
• Introductory lectures on fluctuations of Lévy processes with applications.
• Russian and American put options under exponential phase-type Lévy models.
• A note on the supremum of a stable process
• On the maximum of sums of random variables and the supremum functional for stable processes
• Maxima of sums of random variables and suprema of stable processes
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